Keep in mind with caching in session if you use the InProc mode, you are limiting your scalability unless your code will go back to the DB when the session is empty. You will be forced to use a single server or pin your user to a particular server.
If your using Session State Server this doesn't apply, and if your using SQL to store session state then using session for caching is pointless.
Edit
Any advice around this topic is subject to your specific environment. As you stated, a very complex sql query might benefit from being cached even when using SQL Session State. I think the most important thing is first make your application perform the functions and achieve the business requirements. Then go back and test and optimize the application to handle the load you expect.
Edit 2
Based on your update no I don't think this is true. In one of my ASP.Net Applications I am using session state to store a complex object model that the user is then manipulating and modifying. We are using AJAX and so we have a lot of short communication to server as user updates the object. Keeping the object in session was done as a convience. The object performs a lot of customized calculations to generate different data points, so doing this on the server was ideal as opposed to trying to replicate the code in the servr and in javascript. Also keeping it in session lets us have an undo function very easily.
And Yes I know we sacrificed scalability, but I welcome the day when I sit down with my boss and explain we have a problem because we have too many users (And I know he would too).
So I think the question is why are you storing data in session is it for convience and to provide access to transient data while the user is logged in? That is different then storing it there for caching. One thing to remeber with caching is how are you going to flush the cache? How do you invalidate it? I don't session state is built to handle this.
Edit 3
Back at it well read only data, user specific, expensive to load from DB, go ahead cache it in session. You can write your code so if it's not in session then you hit the DB. Have a nice little helper class that does this hidding it from your web app that your even using session and you should be good. Nice thing about hidding where you store it from your web if you find you run into issues you only have one place to change it.